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The Role of Data Providers as Information Intermediaries

Journal of Financial and Quantitative Analysis, Forthcoming

63 Pages Posted: 15 Nov 2015 Last revised: 28 Jun 2017

See all articles by Nic Schaub

Nic Schaub

WHU - Otto Beisheim School of Management

Date Written: June 28, 2017

Abstract

This study investigates whether financial data providers serve as information intermediaries in capital markets. To this end, I examine whether the timeliness of earnings information disseminated by First Call (Thomson Reuters) affects the market's reaction to earnings announcements. I document that the immediate price and volume response is weaker and the post-earnings announcement drift stronger for earnings news disseminated with a delay by First Call. To mitigate endogeneity concerns, I study the market reaction on the day of the delayed dissemination and show that a significant part of the stronger drift is clustered around this day.

Keywords: information intermediaries, data providers, earnings announcements, capital market reaction, post-earnings announcement drift

JEL Classification: D83, G12, G14

Suggested Citation

Schaub, Nic, The Role of Data Providers as Information Intermediaries (June 28, 2017). Journal of Financial and Quantitative Analysis, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2689744 or http://dx.doi.org/10.2139/ssrn.2689744

Nic Schaub (Contact Author)

WHU - Otto Beisheim School of Management ( email )

Burgplatz 2
Vallendar, 56179
Germany

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